Statistical modelling of the EUR/DZD returns with infinite variance distribution

Ouadjed Hakim

Abstract


Extreme values can cause considerable damage in several sectors and especially
in finance. In this article, we are interested in estimating some risk measures
for the series of the EURO exchange rate against the DZD (Algerian dinar)
using the lévy-stable distribution.


Keywords


Extreme value theory, Lévy-stable law, Tail index.

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DOI: http://dx.doi.org/10.18187/pjsor.v15i2.2654

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Title

Statistical modelling of the EUR/DZD returns with infinite variance distribution

Keywords

Extreme value theory, Lévy-stable law, Tail index.

Description

Extreme values can cause considerable damage in several sectors and especially
in finance. In this article, we are interested in estimating some risk measures
for the series of the EURO exchange rate against the DZD (Algerian dinar)
using the lévy-stable distribution.


Date

2019-06-22

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol. 15 No. 2, 2019



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810